Sometimes those models have an hard time when fixed effects are
included; here are a couple of heuristic solution that in my experience
might work:

1) Try to directly exclude collinear indicators instead of letting stata
dropping them
2) Try to run the estimation twice: sometimes the first one is useful to
set a better starting point that helps convergence.

Best,
Stefano
Il 09/07/2012 10:28, Seliger Florian ha scritto:

Dear statalisters,
as I only have little experience, I would be happy if you could try to answer my question.
After entering industry dummies into probit or multinomial logit models (or other models, I haven't tried...), I sometimes experience the problem that standard errors of the coefficients of the dummies tend to infinity and p-values tend to one. I am working with firm level surveys.
Do you have an explanation for this phenomenon?
Thank you for your consideration.
Florian
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